Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
960878 | Journal of Financial Markets | 2014 | 31 Pages |
Abstract
Using a comprehensive data set of short-sale transactions, we find strong evidence of commonality in daily shorting flows of individual stocks. More importantly, we find that aggregate shorting forecasts market returns. A one standard deviation increase in daily aggregate shorting is associated with a decrease in market excess return by up to 36Â bps over the following 10 trading days (9% annualized). In addition, we find modest evidence that short sellers are informed about future aggregate earnings news, macroeconomic news, and investor sentiment. Overall, our results are consistent with short sellers possessing superior short-term market-wide information.
Keywords
Related Topics
Social Sciences and Humanities
Economics, Econometrics and Finance
Economics and Econometrics
Authors
Andrew Lynch, Biljana Nikolic, Xuemin (Sterling) Yan, Han Yu,